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<div class="iris_headline">IRIS Toolbox Reference Manual</div>




<h2 id="FAVAR/filter">filter</h2>
<div class="headline">Re-estimate the factors by Kalman filtering the data taking FAVAR coefficients as given</div>

<h4 id="syntax">Syntax</h4>
<pre><code>[A,D,CC,F,U,E] = filter(A,D,Range,...)</code></pre>
<h4 id="input-arguments">Input arguments</h4>
<ul>
<li><p><code>A</code> [ FAVAR ] - Estimated FAVAR object.</p></li>
<li><p><code>D</code> [ struct | tseries ] - Input database or tseries object with the FAVAR observables.</p></li>
<li><p><code>Range</code> [ numeric ] - Filter date range.</p></li>
</ul>
<h4 id="output-arguments">Output arguments</h4>
<ul>
<li><p><code>A</code> [ FAVAR ] - FAVAR object.</p></li>
<li><p><code>D</code> [ struct ] - Output database or tseries object with the FAVAR observables.</p></li>
<li><p><code>CC</code> [ struct | tseries ] - Re-estimated common components in the observables.</p></li>
<li><p><code>F</code> [ tseries ] - Re-estimated common factors.</p></li>
<li><p><code>U</code> [ tseries ] - Re-estimated idiosyncratic residuals.</p></li>
<li><p><code>E</code> [ tseries ] - Re-estimated structural residuals.</p></li>
</ul>
<h4 id="options">Options</h4>
<ul>
<li><p><code>'cross='</code> [ <em><code>true</code></em> | <code>false</code> | numeric ] - Run the filter with the off-diagonal elements in the covariance matrix of idiosyncratic residuals; if false all cross-covariances are reset to zero; if a number between zero and one, all cross-covariances are multiplied by that number.</p></li>
<li><p><code>'invFunc='</code> [ <em><code>'auto'</code></em> | function_handle ] - Inversion method for the FMSE matrices.</p></li>
<li><p><code>'meanOnly='</code> [ <code>true</code> | <em><code>false</code></em> ] - Return only mean data, i.e. point estimates.</p></li>
<li><p><code>'persist='</code> [ <code>true</code> | <em><code>false</code></em> ] - If <code>filter</code> or <code>forecast</code> is used with <code>'persist='</code> set to true for the first time, the forecast MSE matrices and their inverses will be stored; subsequent calls of the <code>filter</code> or <code>forecast</code> functions will re-use these matrices until <code>filter</code> or <code>forecast</code> is called.</p></li>
<li><p><code>'output='</code> [ <em><code>'auto'</code></em> | <code>'dbase'</code> | <code>'tseries'</code> ] - Format of output data.</p></li>
<li><p><code>'tolerance='</code> [ numeric | <em><code>0</code></em> ] - Numerical tolerance under which two FMSE matrices computed in two consecutive periods will be treated as equal and their inversions will be re-used, not re-computed.</p></li>
</ul>
<h4 id="description">Description</h4>
<p>It is the user's responsibility to make sure that <code>filter</code> and <code>forecast</code> called with <code>'persist='</code> set to true are valid, i.e. that the previously computed FMSE matrices can be really re-used in the current run.</p>
<h4 id="example">Example</h4>

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<div class="copyright">IRIS Toolbox. Copyright &copy; 2007-2015 IRIS Solutions Team.</div>
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